Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0120
Annualized Std Dev 0.0593
Annualized Sharpe (Rf=0%) 0.2022

Row

Daily Return Statistics

Close
Observations 3511.0000
NAs 1.0000
Minimum -0.0411
Quartile 1 -0.0018
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0020
Maximum 0.0383
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0037
Skewness -0.3683
Kurtosis 13.4089

Downside Risk

Close
Semi Deviation 0.0027
Gain Deviation 0.0025
Loss Deviation 0.0029
Downside Deviation (MAR=210%) 0.0090
Downside Deviation (Rf=0%) 0.0027
Downside Deviation (0%) 0.0027
Maximum Drawdown 0.1594
Historical VaR (95%) -0.0057
Historical ES (95%) -0.0089
Modified VaR (95%) -0.0055
Modified ES (95%) -0.0084
From Trough To Depth Length To Trough Recovery
2008-01-23 2008-10-10 2009-09-02 -0.1594 408 183 225
2012-12-03 2018-11-08 2020-02-28 -0.1245 1822 1496 326
2020-03-09 2020-03-19 2020-05-29 -0.0916 58 9 49
2010-11-05 2011-02-08 2011-08-10 -0.0735 192 65 127
2020-08-07 2021-03-19 NA -0.0610 156 155 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.4 -0.7 0.6 -0.5 0.1 -0.2 0.6 0.1 0.3 -0.1
2008 -0.4 0.9 -1 -0.5 0.2 -0.6 -0.4 -0.5 0 0 0.4 -0.2 -2.1
2009 -0.1 -0.2 -0.1 -0.8 -1.3 -0.3 0.9 0 0.2 0.6 -0.7 -0.2 -2
2010 -0.7 -0.3 -0.5 0.4 -0.2 -0.3 0.5 -0.8 -0.4 -0.4 -1.2 0.5 -3.5
2011 -0.6 -0.3 -0.1 0.4 0.3 -0.4 0.1 0.2 0.3 0.2 -0.2 0 -0.2
2012 -0.3 -0.5 -0.1 -0.2 0.2 -0.2 -0.5 0.4 0 -0.2 0.1 -0.4 -1.7
2013 -0.5 0 -0.6 0 -0.4 -0.1 -1 0 -0.4 -0.6 -0.1 -0.3 -3.8
2014 0.2 -0.1 -0.4 0 -0.1 -0.4 0.2 0.1 0.4 -0.1 -0.4 0.1 -0.5
2015 0.6 0.3 0.2 -0.6 -0.5 -0.5 0.5 0.1 -0.2 0.2 0.2 0.2 0.5
2016 -0.5 -0.5 -0.4 0 -0.3 0 -0.4 -0.1 -0.2 -0.3 -0.6 0.3 -3
2017 -0.4 -0.7 0.2 -0.3 -0.2 -0.2 0 -0.5 -0.1 -0.2 0 0.2 -2.1
2018 -0.6 0 0.2 -0.4 -0.5 0 -0.4 0 -0.4 -0.2 0.1 0.3 -1.8
2019 -0.6 -0.5 -0.7 -0.3 0.5 -0.2 0.7 0 -0.1 -0.3 0 -0.1 -1.6
2020 0.4 0.9 -0.3 -0.3 0 -0.1 0.1 0.1 -0.1 -0.2 -0.5 0 -0.1
2021 -0.1 0 0 NA NA NA NA NA NA NA NA NA -0.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart